using System;
using System.Data;
using System.Xml;
using System.Data.SqlClient; 
using System.IO; 
namespace WriteXML
{
   public class Myclass 
   { 
      static void Main() 
      {
         string connection = "user id=sa;password=password;" + "Database=database;server=(local);";
         string query = "SELECT * FROM table"; 

         SqlConnection conection = new SqlConnection(connection);
         SqlDataAdapter adapter = new SqlDataAdapter(); 
         adapter.SelectCommand = new SqlCommand(query, connection);

         DataSet dataset = new DataSet();
         adapter.Fill(dataset);
         FileStream filestream = new FileStream("C://Data.xml", FileMode.OpenOrCreate, FileAccess.Write);
        dataset.WriteXml(filestream);
        filestream.Close();
        
        DataGridView dataGridView = new DataGridView();
        dataGridView.DataSource = dataset;
        dataGridView.DataMember = "member";
      }
   }
}

DataSet dataset = new DataSet();
dataset.ReadXml("C:\\Data.xml");
dataGridView.DataSource = dataset;
dataGridView.DataMember = "member";